This paper provides a novel five-component decomposition of optimal dynamic portfolio choice. It reveals the simultaneous impacts from market incompleteness and wealth-dependent utilities. The decomposition leads to implementation via either closed-form solutions or Monte Carlo simulations. With...

We consider a discrete-time optimal consumption and investment problem of an investor who is interested in maximizing his utility from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes...

The paper deals with the optimal behavior of an individual whose aim is to maximize total expected discunted utility of consumption subject to a nonterminal bankruptcy. This means that upon going bankrupt, the individual may recover from it after a temporary but random sojourn in bankruptcy.This...

We consider a decentralized supply chain in which a downstream manufacturer purchases components from an upstream supplier privileged with private information about supply disruption risk. The supplier's initial reliability, asymmetric to the manufacturer, is either low or high. We examine two...

An application of the Stokes' theorem is illustrated by solving the two state problem, with inequality constraints, of Dobell and Ho concerning the optimal investment of resources. Whenever applicable, the Stokes' theorem approach seems to be elegant and parsimonious

The method of variational inequalities is a useful theoretical tool in stochastic control, but there are few problems in which this method leads to an explicit solution. We present such a problem drawn from portfolio management. An agent can distribute his wealth between two investments, one...

We consider optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes the...

This paper studies the issue of coordinating equipment maintenance operations with capital investment strategy in the presence of random equipment failures. This problem represents an important extension of the celebrated Kamien and Schwartz (KS) paper published in Management Science. The...

The present paper proposes an overview of the existing literature covering several aspects related to environmental, social, and governance (ESG) factors. Specifically, we consider studies describing and evaluating ESG methodologies and those studying the impact of ESG on credit risk, debt and...

In this study, we unpack the ESG ratings of four prominent agencies in Europe and find that (i) each single E, S, G pillar explains the overall ESG score differently, (ii) there is a low co-movement between the three E, S, G pillars and (iii) there are specific ESG Key Performance Indicators...